Capital is caught in cold, terrible extremes of weather (7)
I believe the answer is:
climate
'weather' is the definition.
(I've seen this before)
'capital is caught in cold terrible extremes' is the wordplay.
'capital' becomes 'lima' (capital of Peru).
'is caught in' is an insertion indicator.
'cold' becomes 'c' (eg on taps).
'extremes' suggests removing the centre.
'terrible' with its centre removed is 'te'.
'c'+'te'='cte'
'lima' put inside 'cte' is 'CLIMATE'.
'of' is the link.
(Other definitions for climate that I've seen before include "Prevailing public attitude" , "Cite Mal (anag.)" , "Lime cat (anag.)" , "Weather etc" , "Prevailing trend" .)